All IFB1

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 37 3.1 58 24 107 (91) (259) (3) 60
60 13 1.9 56 12 82 (77) (259) (3) 42
120 19 2.6 58 16 86 (80) (259) (3) 46
250 14 2 56 12 82 (75) (283) (6) 44
500 10 1.8 53 9 70 (59) (283) (6) 40
760 6 1.2 52 6 60 (53) (283) (6) 38
1260 31 4.1 57 31 99 (58) (293) (7) 39
2520 25 3.8 58 28 93 (62) (353) (7) 36
All 27 3.8 58 28 93 (62) (353) (7) 39

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave Turnover Max Turnover
Avg 1.5 3.4 1.6 1.9 1.1 6.4 3 2.9 0.5 1.3 3 5.4 32 3.7 57.3 107 (2.3) (4.6) 1 1 1.1 2
2019 0.6 (0.5) 4.3 0 0 0 0 0 0 0 0 0 4.4 3 60.9 23 (2.6) (3.1) 1 1 1.2 2
2018 (2.7) 3.6 2.3 3.3 0.3 3.6 (4) 3.1 (1.6) 1.4 2.3 1.1 12.7 1.9 53.6 117 (2.8) (6) 1 1 1.1 2
2017 (0.6) 1.5 (1.6) (0.6) (2.4) 0.1 2.3 1.5 (1.2) (1.3) 3.4 0.5 1.6 0.6 51.2 91 (1.5) (4.8) 1 1 1.1 2
2016 11.3 4.9 (2.1) (0.5) (3.7) 4.4 (0.9) (3.1) 1.3 1 (1.1) 1.8 13.3 1.8 50.9 111 (2.8) (6.8) 1 1 1.1 2
2015 (0.6) 5.3 6.8 5.6 6.1 21.2 15.6 11.9 3.3 6.3 8.6 2.2 92.3 7.7 68.3 114 (2.9) (2.9) 1 1 1.1 2
2014 0 1.7 2.5 1.7 5 2.9 2 1.1 0.8 (0.8) 2 21.2 40.1 6.3 62.7 102 (1.6) (2.5) 1 1 1.1 2
2013 (0.5) 6.1 2.4 1 (2.9) 6.4 2.1 4.1 0.2 (0.1) (2.4) 1.5 17.9 2.8 50.5 99 (2.9) (4.5) 1 1 1.1 2
2012 5.3 1.6 4.8 5.4 (1.4) 0.9 0.1 2.9 5.5 (0.4) 0.9 (3) 22.6 4 59.6 100 (2) (3.6) 1 1 1.1 2
2011 4.2 1.6 (0.7) (3.7) 5.3 (0.4) 4 9.4 0.7 3.4 0.1 (0.4) 23.5 3.5 65.3 106 (2.7) (5.9) 1 1 1.1 2
2010 0 0 0 5.1 6.3 5.9 (6.6) 3.7 1.9 (4) 9.3 2.5 24.1 3.4 57.1 75 (3.5) (7.4) 1 1 1.1 2
2009 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2008 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2007 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2006 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2005 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2004 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2003 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2002 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2001 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0
2000 0 0 0 0 0 0 0 0 0 0 0 0 0 100 0 0 0 0 0 0 0 0